Recall that is consumes a lot of DTUs running CHECKDB on your Azure SQL Database so I had doubts that it is something we as users should be doing, well I am happy to say there is now official documentation on this subject.

I did a quick overview chart on techniques used and all of them make sense.

Please see the link for more details especially how they would deal with YOUR DATA if integrity is comprised i.e. corruption. It is quite thorough. I particularly like the lost write protection where it tracks page writes and their associated LSNs (Log Sequence Numbers).